Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-21.897
Tracking Error
0.19
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# NYS TRIN (arms index)

class AdaptableYellowGreenRhinoceros(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 5, 18)  
        self.SetEndDate(2022, 5, 27)
        self.SetCash(100000) 
        self.AddUniverse(self.MyCoarseFilterFunction, self.MyFineFundamentalFunction)

    
    def MyCoarseFilterFunction(self, coarse):
        return [ x.Symbol for x in coarse if x.HasFundamentalData ]
         
         
    def MyFineFundamentalFunction(self, fine):
        filtered_fine = [x.Symbol for x in fine if x.CompanyReference.PrimaryExchangeID == "NYS"]
        return filtered_fine
            
            
    def OnSecuritiesChanged(self,changes):
        self.symbols = []
        
        for x in changes.AddedSecurities:
            self.symbols.append(x.Symbol)
        self.trin = self.TRIN(self.symbols, Resolution.Daily)
        
        
    def OnData(self, data):
        self.Plot('TRIN', "NYS", self.trin.Current.Value)